A jump diffusion model for VIX volatility options and futures
Dimitris Psychoyios; George Dotsis; Raphael N. Markellos
| Year of publication: |
2010
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|---|---|
| Authors: | Psychoyios, Dimitris ; Dotsis, George ; Markellos, Raphaēl N. |
| Published in: |
Review of quantitative finance and accounting. - New York, NY : Springer, ISSN 0924-865X, ZDB-ID 1087855-5. - Vol. 35.2010, 3, p. 245-269
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| Subject: | Implied volatility | Jump diffusion | Option pricing | Volatility risk | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Stochastischer Prozess | Stochastic process | Devisenoption | Currency option |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009260276